A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
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Publication:979251
DOI10.1016/j.amc.2009.12.031zbMath1189.91196OpenAlexW2025583059MaRDI QIDQ979251
Hui Zhou, Liqun Qi, Xiaojiao Tong, Felix F. Wu
Publication date: 25 June 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2009.12.031
portfolio optimizationsmoothing methodallocation of generation assetconditional value-at-risk (CVaR)
Numerical methods (including Monte Carlo methods) (91G60) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)
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